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Insights

Singular focus on managing and trading crypto risks. Cutting edge expertise across volatility management and forecasting, derivatives, quantitative investments and crypto/blockchain.

The Nature of the Beast

Research Paper

An examination of the different aspects of volatility for the 50 largest cryptocurrencies. As far as we know, this is the most exhaustive study done to date on cryptocurrency returns and volatility.

Say Hullo to Smart Tokens...

Article

An Introduction to The Risk Protocol and our innovative approach to trading crypto risk. What we do, why and how we do it.

Volatility Forecasting with GARCH Models

Research Paper

We forecast volatility for BTC and ETH using the two-component GJR model. Our model does a better job of predicting future volatility than either realized volatility or implied volatility